[115] Fitness (Main Data) and Fitness (Portfolio) are always the same
As you can see in the attached screenshots, the Fitness (Main Data) and Fitness (Portfolio) is always the same, which cannot be the case given the vastly different equity curves between Main Data and Portfolio. This happens in Builder and Retester if using a custom fitness function (and my custom formula uses net profit, ret / dd, stability, etc., so this cannot be the same) and possibly also happens for the other Fitness calculations on other data (like Fitness on Monte Carlo, etc. - but haven´t tested that yet). In the first screenshot, SQX already shows the equity curve of the whole portfolio, so I would except "Fitness (Portfolio)" to be able to show the fitness value of that curve too, otherwise you should just remove that option, no?
-
Votes +1
-
Project StrategyQuant X
-
Type Bug
-
Status Refused
-
Priority Normal
History
g
g
g
g
geektrader
13.12.2018 07:46
I know you guys are busy as many of my bug reports have been ignored for the last weeks, unfortunately, but is anyone going to look at least at the serious ones like this one?
g
geektrader
18.12.2018 11:12
Sorry to disturb about this again, but since I almost only use portfolios in SQX, it would be great if you could address this bug for build 116 (I know, everyone wants that, haha, but pleasseee) ;-) Merry X-mas!
g
geektrader
22.12.2018 03:44
Also didn´t make it into 116, this bug is still there and makes the handling of portfolios and custom fitness impossible :-(
g
geektrader
15.01.2019 22:43
Honestly, please fix this, it´s annoying that the fitness of the portfolio is completely missing (is wrong).
MF
Mark Fric
28.01.2019 11:22Status changed from New to Refused
fitness is computed only once for a srategy - depending on your choice in Ranking - from what it should be computed.
We donb't have separate fitness for portfolio and for main data, for monte carlo, etc. There is only one fitness value.
It only varies by sample type (Full, IS, OOS)
g
geektrader
28.01.2019 11:58
Hmm, but look at the naming in my screenshot in post #1, it clearly says "Fitness (Portfolio)" there, not just Full, IS, OOS. So what´s the "Fitness (Portfolio)" option for then, as it never calculated the fitness on the Portfolio for me, ever. How do I make it calculate the Fitness on the combined equity curve of the Portfolio?
g
geektrader
28.01.2019 11:59Description changed:
As you can see in the attached screenshots, the Fitness (Main Data) and Fitness (Portfolio) is always the same, which cannot be the case given the vastly different equity curves between Main Data and Portfolio. This happens in Builder and Retester if using a custom fitness function (and my custom formula uses net profit, ret / dd, stability, etc., so this cannot be the same) and possibly also happens for the other Fitness calculations on other data (like Fitness on Monte Carlo, etc. - but haven´t tested that yet). In the first screenshot, SQX already shows the equity curve of the whole portfolio, so I would except "Fitness (Portfolio)" to be able to show the fitness value of that curve too, otherwise you should just remove that option, no?
Votes: +1
© Copyright. All rights reserved. ProjectPanel.com
